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I have detected an issue in the volume that is obtained using the HIT command when requesting one minute candles.

The thing is that if I request a one minute candle using the HIT command, the volume of the candle does not match with the volume that can be calculated retrieving each trade tick for the same interval using the HTT command.

I have to say that in order to calculate the volume of the candle with ticks retrieved by the HTT command, I am not having into account those ticks that are tagged as "O" (Other trade)

Why are such differences? Is something else that I have to take into account when calculating the volume with trade ticks retrieved using the HTT command?

Well it appears to add up on my end, so let me explain what I did and you can tell me where I went wrong.

I copied and pasted your data into Excel and then delimited it on commas.I summed column E and got 49249 I then filtered all O trades and thenI summed those remaining values and I get 45385, did I miss something? I looked for trades that might hint at an off by one error and I am not seeing it.

In real time, I have no way to know if the tick is "O" type because I can´t see any field with this information, so I am filtering ticks with a volume less than 100, and that is why I get volume divergences with history data.

Is there a way to filter those ticks tagged in historoy data with "O" in the real time stream?

The field you are looking for is Message Contents. It has a definition on the linked page that may help you get going, but just add that to your fieldset and then take the C and E trades and you should match our intraday bars. (E or Extended trades only happen on equities I believe)

You pull in Extended Trade, which is the last extended trade price, but you don't pull in extended trade time or extended trade size. Is that intentional? I just want to make sure your not accidentally mixing values which would also throw off your calculations.